EconPapers    
Economics at your fingertips  
 

Identifying dynamic discrete choice models off short panels

Peter Arcidiacono and Robert A. Miller

Journal of Econometrics, 2020, vol. 215, issue 2, 473-485

Abstract: This paper analyzes the identification of flow payoffs and counterfactual choice probabilities (CCPs) in single-agent dynamic discrete choice models. We develop new results on non-stationary models where the time horizon for the agent extends beyond the length of the data (short panels). We show that counterfactual CCPs in short panels are identified when induced by temporary policy changes affecting payoffs, even though the utility flows are not. Counterfactual CCPs induced by innovations to state transitions are generally not identified unless the model exhibits single action finite dependence, and the payoffs of those actions establishing single action finite dependence are known.

Keywords: Dynamic discrete choice; Identification; Conditional choice probabilities; Nonstationary models (search for similar items in EconPapers)
JEL-codes: C35 C53 C61 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407619302064
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:215:y:2020:i:2:p:473-485

DOI: 10.1016/j.jeconom.2018.12.025

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

 
Page updated 2021-03-09
Handle: RePEc:eee:econom:v:215:y:2020:i:2:p:473-485